Make buttons on main menu light up
First of all, select the first button. Then, ensuring you are on frame 1, go to the material tab, and set the colour to it's normal state (the colour you want for when the mouse is not over the button) and press I.

Then, if you want the change in diffuse of the button to be instantaneous, move onto the next frame. If you want there to be a longer transition between the two different states, however, move to a later frame, eg 5. The later the frame you change to, the longer the transition between the two states of the button will be when the mouse is over the button.

Now you are on a different frame, change the colour of the button to what you want, and press I, with your mouse over the diffuse slider.

Now, when you scrub through the timeline with the mouse, in between the beginning and end of the animation you have just created, you should see the colour in the material tab changing (this will not work if watching the animation using AltA)

Now, you can open up the game logic window. Add a "mouseover" sensor, connect it to an "and" controller, and then connect that to an "action" actuator. Just under the button that is currently set to play, there is a box that allows you to chose the animation to run. Clicking on that box opens a drop down box that allows you to chose the animation to play - there should only be one as you have only created one animation thus far, so simply choose the only animation in the box (if you already have more than one animation in your scene, you will have to make sure you chose the animation that you just created for that button - you can see the names of animations in the top left window if switching to the "animation" view instead of "default" or "game logic" at the top of the blender window.)

Next, there is the action playback type. This is above the animation box, currently set to "play". Changing the animation type to "flipper" means that when the mouse moves over the button, the animation will run and the colour will change, but when the mouse is moved off the button, the colour will change back. If it were left on play, it would not change back when the mouse moves off the button.

Next there is the start frame and end frame. Set the start frame of the Action to 1, as this is the frame of the start of the animation you made earlier. Then, set the end frame to the frame when the diffuse animation ended.

Now, when the mouse is over that button in the game engine, the colour should change, and when the mouse is no longer over the button, it should change back.

Once you have tested that works, repeat the process for your other buttons. Make sure they all have different materials, as, otherwise, when one button changes, they may all change.

Note: this will not work if there is a texture on the button plane, that would require you to have an orange and a white button (one on top of the other) and to fade between them with a similar method to above, but changing the opacity instead of the colour of the slider.

Finally, something to be aware of is the animation you choose in the action actuator. Make sure you choose the animation for the button you want to change, because there will be more than one animation in the drop down box once you have created different animations for different buttons.